Apparently VY Canis Majoris is 30–40 solar masses, also there's R136a1 which is 265 solar masses. How do they remain stars with all that mass?

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As long as they have fuel (hydrogen, etc.) the fusion that takes place keeps their radii larger than the Schwarzschild radius, they remain stars. When they run out of fuel, then things will happen with remnants ending up as a black hole.

What keeps very massive stars from becoming black holes, for awhile, is gas pressure. Gas pressure tries to make stars expand, gravity tries to make them contract. If we assert that the two balance, for any given mass star, we get a whole range of possible solutions that essentially depend on the radius of the star. So for any radius, there's a solution where gas pressure balances gravity-- with one important exception. Because of the "nonlinear" nature of very strong gravity, if the radius of the star ever gets so small that its escape speed approaches the speed of light, gravity turns into a very different kind of beast, and pressure has no chance against it. But that's all right-- the stars you mention have much larger radii than that, they have found one of the solutions of gas pressure balancing gravity that does not allow gravity to become that beast.

Now this state of affairs would always prevent black holes from forming, except for one thing-- stars radiate energy. This means that unless the star has some other source of energy to replace what is lost, or some other way of creating pressure, the radius must contract to a different one of those balanced solutions. The star keeps losing starlight, smaller and smaller radius solutions keep resulting, and the star is on the way to gravity becoming that beast.

Now, I mentioned the two wrinkles in this general story-- other sources of energy (fusion), and other sources of pressure (degeneracy pressure). While stars are fusing, they replace the lost starlight, and there is no need to contract to a smaller-radius balanced solution-- while the fuel lasts. But it doesn't last, so it's just a delay in the process (a long-lived delay, to be sure). So then the only way to stop the creation of the black hole, eventually, is if degeneracy pressure can step in for the gas pressure. That turns out to only be possible for low-mass stars-- and that's why low-mass stars never go supernova and never make black holes. But for high-mass stars, the end result is inevitable-- it just takes a long time.

(Incidentally, there is a form of degeneracy pressure that can be created by neutrons, and this is important in neutron stars. But to get those, you still need to supernova, so there's not really a huge difference between making a neutron star, and making a black hole, unless you really like black holes.)

Heavyweaight like VY Canis Majoris are destined to end spectacularly as core collapse supernovae. It is less clear if black holes can directly form via such an event. In 2005 [re: http://www.space.com/1735-neutron-star-black-hole-expected.html] a neutron star was found which had a progenitor mass comparable to VY CMa. Core collapse supernova explosions expel a large fraction of the progenitor star mass.

For stars of 30-40 solar masses, radiation pressure is important, but still not dominant. It's kind of a detail really, but you're certainly right that it should not be overlooked. The same above argument applies, just think in terms of gas+radiation pressure.